Misspecifying GARCH-M Processes
نویسنده
چکیده
We consider th e relationships between ARCH-type and stochast ic volatility models. A new class of volatility models, called generalized bilinear stochastic volatility, is described following an approach that tr ansforms an init ial GARCH-M process. Th e focus here is on th e interpretation of some simulation results, with a special care devoted to model misspecification.
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ورودعنوان ژورنال:
- Complex Systems
دوره 9 شماره
صفحات -
تاریخ انتشار 1995